On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
---- Acknowledgements ----
For comments and suggestions we thank Rob Engle, Peter Hansen, Charles Jones, Eugene Kandel, Gideon Saar, Frank Schorfheide, Enrique Sentana, and three anonymous referees. We are also grateful to participants at the NBER Conference on Market Microstructure, the Oxford-Man Institute Conference on the Financial Econometrics of Vast Data, and the Christmas Meeting of German Economists Abroad. We thank Ole E. Barndor-Nielsen, Peter R. Hansen, Asger Lunde and Neil Shephard for sharing their data with us. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.